Good volatility, bad volatility, and the cross section of cryptocurrency returns

Zehua Zhang and Ran Zhao

International Review of Financial Analysis, 2023, vol. 89, issue C

Abstract: This paper examines the predictability of realized volatility measures (RVM), especially the realized signed jumps (RSJ), on future volatility and returns. We confirm the existence of volatility persistence and future volatility is more strongly related to the volatility of past positive returns than to that of negative returns in the cryptocurrency market. RSJ-sorted cryptocurrency portfolios yield statistically and economically significant differences in the subsequent portfolio returns. After controlling for cryptocurrency market characteristics and existing risk factors, the differences remain significant. The investor attention explains the predictability of realized jump risk in future cryptocurrency returns.

Keywords: Cryptocurrency; Realized volatility measures; Return predictability; Portfolio analyses (search for similar items in EconPapers)
JEL-codes: G11 G12 G17 G41 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521923002284
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002284

DOI: 10.1016/j.irfa.2023.102712

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().